Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0096 |
| Annualized Std Dev | 0.1653 |
| Annualized Sharpe (Rf=0%) | 0.0583 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2855.0000 |
| NAs | 1.0000 |
| Minimum | -0.0847 |
| Quartile 1 | -0.0050 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0055 |
| Maximum | 0.0567 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0001 |
| Stdev | 0.0104 |
| Skewness | -0.5652 |
| Kurtosis | 5.9379 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0077 |
| Gain Deviation | 0.0068 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.4328 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0252 |
| Modified VaR (95%) | -0.0174 |
| Modified ES (95%) | -0.0340 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-11 | 2016-01-20 | NA | -0.4328 | 2501 | 1201 | NA |
| 2010-04-26 | 2010-05-20 | 2010-09-13 | -0.1287 | 93 | 18 | 75 |
| 2010-01-12 | 2010-02-05 | 2010-04-05 | -0.1103 | 53 | 18 | 35 |
| 2011-03-04 | 2011-03-16 | 2011-03-31 | -0.0696 | 20 | 9 | 11 |
| 2009-11-17 | 2009-12-15 | 2010-01-04 | -0.0436 | 32 | 20 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.8 | 3 | -0.4 | 0.8 |
| 2010 | 1.7 | 0.7 | 1.3 | -1 | 0.2 | -2.3 | -0.4 | 1.5 | 0.7 | 0.9 | 1.8 | 0.3 | 5.3 |
| 2011 | 1.8 | -0.8 | 0.3 | 0.1 | -1 | 0.5 | -0.9 | -0.4 | -1.9 | -2.4 | -0.3 | -0.1 | -5.1 |
| 2012 | 0.9 | 0.5 | 0.6 | 0.3 | -0.4 | 2.9 | -0.1 | 1.3 | 1.4 | 1.8 | 0.2 | 2.7 | 12.5 |
| 2013 | 0.6 | -0.5 | -0.3 | -1.1 | -1.5 | 0.6 | 0 | -0.7 | 0 | -1 | 0.7 | 0.1 | -3.1 |
| 2014 | -0.4 | 0.3 | 0.1 | -0.2 | -0.2 | -0.2 | 0.1 | 0.1 | -0.5 | 0.4 | -0.2 | -0.8 | -1.4 |
| 2015 | -0.5 | 0.3 | 0.7 | 0.6 | -0.4 | -1 | -0.1 | -2.9 | 0.6 | 0.5 | 0.5 | -0.4 | -2.3 |
| 2016 | 0.4 | 2.3 | -0.5 | 0.4 | 0 | 0.6 | -0.4 | 0.4 | 0 | 1.1 | -0.3 | -0.4 | 3.6 |
| 2017 | -0.4 | 1 | -0.2 | -0.7 | 0.5 | 0.6 | 0.2 | 0.6 | 0.6 | 0.4 | 0.1 | 0.3 | 3.1 |
| 2018 | 0.3 | -0.8 | 1 | -0.7 | 0.1 | 0.8 | -1.1 | -0.3 | 0.1 | 2 | -0.2 | 0.1 | 1.3 |
| 2019 | -0.2 | 0.4 | 0.9 | -1 | 0.2 | 0.2 | -1.1 | 0.6 | -1 | 1.2 | -0.4 | 0.3 | 0.1 |
| 2020 | -1.6 | -1.3 | -2.7 | -1.8 | 1 | -0.8 | -0.5 | 0 | 0.1 | 0.2 | 1.6 | -0.3 | -5.9 |
| 2021 | 1.1 | 1 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-10-27 24.9 SPY 106. -0.0046 -0.0256 0.0009 0.0898 0.268 -0.231 -0.0459 GLD 102. -0.0001 -0.0152
2 2009-10-28 24.2 SPY 104. -0.0189 -0.0353 -0.015 0.0582 0.114 -0.248 -0.075 GLD 101. -0.011 -0.0291
3 2009-10-29 24.6 SPY 107. 0.0215 -0.0245 0.01 0.0793 0.146 -0.227 -0.058 GLD 103. 0.0194 -0.0119
4 2009-10-30 24.1 SPY 104. -0.029 -0.0418 0.0054 0.0311 0.0754 -0.248 -0.0852 GLD 103. -0.0015 -0.00930
5 2009-11-02 24.5 SPY 104. 0.0073 -0.0242 0.0179 0.0359 0.0774 -0.243 -0.081 GLD 104. 0.0138 0.0205
6 2009-11-03 24.7 SPY 105. 0.0032 -0.0166 0.0061 0.0422 0.0776 -0.235 -0.0784 GLD 106. 0.0241 0.0453
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
